Trend-Following Backtester · Guide · backtest 한국어
etf · US
ProShares UltraShort QQQ backtest
10 trend-following strategies were compared on the full daily history of ProShares UltraShort QQQ. 10 beat buy-and-hold CAGR; ADX / DI 방향성 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is ADX / DI 방향성 (CAGR -1.4%, MDD -42.4%).
Results by strategy
10 of 10 beat buy and hold (CAGR -36.1%, drawdown -100.0%).
Sharpe leader (same as main): ADX / DI 방향성 — CAGR -1.4%, MDD -42.4%, Sharpe 0.01, 2% exposure.
Return/drawdown alternative: ADX / DI 방향성 — CAGR is 34.7%p higher than buy and hold, while drawdown improves by 57.6%p (CAGR -1.4%, MDD -42.4%, exposure 2%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| ADX / DI 방향성 period=23, threshold=29 |
-1.4% | -42.4% | 0.01 | -0.03 | 0.8x | 14 | 2% |
| EMA 크로스오버 fast=72, slow=191 |
-2.8% | -66.5% | -0.02 | -0.04 | 0.6x | 6 | 7% |
| SMA 크로스오버 fast=69, slow=244 |
-3.3% | -69.8% | -0.03 | -0.05 | 0.5x | 10 | 10% |
| 볼린저 밴드 돌파 n=66, k=3.3 |
-3.9% | -74.9% | -0.06 | -0.05 | 0.5x | 16 | 5% |
| Keltner 채널 돌파 emaPeriod=24, atrPeriod=23, mult=4 |
-4.5% | -71.8% | -0.16 | -0.06 | 0.4x | 18 | 2% |
| Donchian 채널 돌파 entryN=87, exitN=16 |
-6.4% | -87.0% | -0.17 | -0.07 | 0.3x | 26 | 6% |
| ROC 모멘텀 n=116, threshold=0.14 |
-6.5% | -76.5% | -0.20 | -0.09 | 0.3x | 50 | 6% |
| Supertrend period=17, mult=4.1 |
-16.8% | -98.8% | -0.38 | -0.17 | 0.0x | 89 | 29% |
| Parabolic SAR step=0.005, maxStep=0.16 |
-21.4% | -99.4% | -0.58 | -0.22 | 0.0x | 211 | 32% |
| MACD fast=15, slow=32, signal=7 |
-27.1% | -99.9% | -0.70 | -0.27 | 0.0x | 371 | 51% |
| Buy and hold | -36.1% | -100.0% | -0.79 | -0.36 | 0.0x | 1 | 100% |
Rules of the top strategy
Looks at both the direction and the strength of the trend; holds only in a strong uptrend.
- Buy — Buy when up-direction (+DI) beats down-direction (−DI) and trend strength (ADX, 23-day) is ≥ 29
- Sell — Sell when direction flips or the trend weakens (ADX < 29)